Blogging Options: CBOE Morning Update 9.11.13

Volatility as an asset class

Apple (AAPL) is down $21.64 to $472.50 in the premarket a day after the introduction of iPhone 5S and 5C. September 9/13/13 call option implied volatility is at 35, September is at 29, October is at 27, November is at 29; compared to its 26-week average of 28.

VIX methodology for Apple (VXAPL) closed @ 29.87, below its 10-day moving average of 30.84 and above its 50-day moving average of 28.17.  www.cboe.com/VXAPL

Theravance (THRX) is indicated $1.20 higher in the premarket after an FDA advisory panel recommended approval of Umeclidinium/Vilanterol, a pulmonary disease treatment it developed with GlaxoSmithKline (GSK). Overall option implied volatility of 45 is below its 26-week average of 59.

Texas Instruments (TXN) is down $0.17 to $40.14 in the premarket after the chip maker narrowed its Q3 EPS view to 51c-55c, from 49c-57c, consensus 53c. Texas Instrument September weekly call option implied volatility is at 29, September is at 21, October and January is at 20; compared to its 26-week average of 22.

Options expected to be active @ CBOE; AAPL ARMH NOKALU THRX

CBOE S&P 500 BuyWrite Index (BXM) closed at $966.72, above its 50-day moving average of 957.09. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.53, below its 10-day moving average of 16.13 and above its 50-day moving average of 14.20. www.cboe.com/VIX

Calls with increasing volume at CBOE:

MSFT 1/18/2014 36 27K contracts
XLI 12/21/2013 48 20K
SPY 9/21/2013 170 18K
EEM 1/17/2015 45 18K
XLK 12/21/2013 34 17K
POT 9/21/2013 34 12K
XLF 9/21/2013 20 10K

SPDR S&P 500 ETF Trust (SPY) is recently down $0.27 to $168.60 after President Obama said he would delay a military strike on Syria while trying a diplomatic solution.  Bond yields down slightly this morning, Energy complex flat, grains higher.